Stochastic control via direct comparison

DOI10.1007/s10626-010-0093-4zbMath1210.93081OpenAlexW2116997137MaRDI QIDQ633815

De-Xin Wang, Yi-Fan Xu, Tao Lü, Cao, Xiren

Publication date: 30 March 2011

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-010-0093-4

zbMATH Keywords

dynamic programmingMarkov decision processesPoisson equationperturbation analysisHJB equationperformance potentialssensitivity-based optimization

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Dynamic programming in optimal control and differential games (49L20) Stochastic programming (90C15) Time-scale analysis and singular perturbations in control/observation systems (93C70) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (3)

The risk probability criterion for discounted continuous-time Markov decision processes ⋮ Completion-of-squares: revisited and extended ⋮ Temporal difference-based policy iteration for optimal control of stochastic systems

Uses Software

• UMDES

Cites Work

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